Table 4 shows the comparison of return volatilities between LPLP and HPLP.
For the full sample period, the modified Levene statistics show that the volatilities of HPLP are significantly higher than those of LPLP regardless of the length of holding interval.
Table 5 shows the average number of trading days per listed stock effect by price limits for each subperiod, and table 6 represents the average price limit rates of both HPLP and LPLP for each subperiod.
As mentioned above, if differences in volatilities between HPLP and LPLP are eliminated when residuals from the regression model are used to construct HPLP and LPLP, it would indicate that the above results are influenced by the effect of price limits.
We can therefore conclude that the difference in volatilities between LPLP and HPLP is caused by price limits.